It's created the menu fine showing all the parent pages with the child pages in drop down's below.

The only problem I have is that the parent pages are by menu_order which is what I want but the child pages are not by menu_order. How can I make it show the child pages by menu_order so it mirrors the backend?

Which is very straightforward and does very explicitly order the items via menu_order. However, because it's a core function subject to actions and filters, you might have another plugin (or maybe your theme) interfering with the ordering. Before getting carried away, first ensure that the Order is explicitly set on each page by editing (or quick editing) each page in question. If two pages are set to "0", they may order one way in the page list and another way in this widget.

Same as Matthews, tried it and works like a charm, I think you might have a plugin conflict. Alternatively, check if data is written to DB, but I really don't think that's the case, because the pages work fine

if your problems persist, you can hardcode those pages (sorry, this page doesn't allow me to post the code you need) or try another plugin, there are several with similar capabilities
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DevinJan 24 '12 at 6:34